Well, she's not dead, but her breathing a little ragged, indicating she might have gotten injured. Or it's just panic, who knows. She has no way of knowing if he can actually hear her -- but she talks to him as though he can, partially for his sake, partially for her own.

"There's a way," she insists, to him, but really she's talking to herself. "And I'm going to find it. So... just sit tight! I'll come back!"

It's easy to convince herself it's true -- the Bureau has the power to reverse death, and near death experiences -- this surely must be one of those things they can handle. Or there has to be some magic spell somewhere. And she won't rest until she finds it, bleeding or not. McCree is her friend -- the first real one she's had in a long time. He's always had her back. It's time for her to repay her favor.

"Just.... sit tight."

And with that, she's gone.... for now.